%% Compute the Implied Repo Rates for Treasury Bond Futures Given the Price
% This example shows how to compute the implied repo rate given the following set of data.

ReinvestData = [0.018  3];
Price = [114.4160; 113.1710];
QtdFutPrice = [114.1201; 113.7090];
Settle = datenum('11/15/2002'); 
MatFut = [datenum('15-Dec-2002'); datenum('15-Mar-2003')];
ConvFactor = [1; 0.9854];
CouponRate = [0.06; 0.0575];
Maturity = [datenum('15-Aug-2009'); datenum('15-Aug-2010')];
 
ImpliedRepo = tfutimprepo(ReinvestData, Price, QtdFutPrice, ...
Settle, MatFut, ConvFactor, CouponRate, Maturity)

% Copyright 2015 The MathWorks, Inc.